a) Give 3 limitations of VaR.
b) Portfolio ABZ has a daily expected return of 0.0634% and a daily standard deviation of 1.1213%. Assuming that the daily 5 percent parametric VaR is R 6 million, calculate the annual 5 percent parametric VaR for a portfolio with a market value of R 120 million. (Assume 250 trading days in a year and give your answer in Rands)
